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smoother2histval/histval_file: handle lagged exogenous. 

Ref #594
time-shift
Sébastien Villemot 2014-04-04 17:22:09 +02:00
parent 37af4b073f
commit 614dc3e5a6
4 changed files with 74 additions and 28 deletions
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41
matlab/histvalf.m
View File

@ -25,6 +25,16 @@ end
M_.endo_histval = repmat(oo_.steady_state, 1, M_.maximum_endo_lag);
% Also fill in oo_.exo_simul: necessary if we are in deterministic context,
% since aux vars for lagged exo are not created in this case
if isempty(oo_.exo_simul)
if isempty(ex0_)
oo_.exo_simul = repmat(oo_.exo_steady_state',M_.maximum_lag,1);
else
oo_.exo_simul = repmat(ex0_',M_.maximum_lag,1);
end
end
S = load(fname);
outvars = fieldnames(S);
@ -35,26 +45,43 @@ for i = 1:length(outvars)
ov = ov_(1:end-1);
j = strmatch(ov, M_.endo_names, 'exact');
if isempty(j)
error(['smoother2histval: output variable ' ov ' does not exist.'])
warning(['smoother2histval: output variable ' ov ' does not exist.'])
end
else
% Lagged endogenous, search through aux vars
z = strsplit(ov_, '_');
ov = z{1};
lead_lag = str2num(z{2});
% Lagged endogenous or exogenous, search through aux vars
undidx = find(ov_ == '_', 1, 'last'); % Index of last underscore in name
ov = ov_(1:(undidx-1));
lead_lag = str2num(ov_((undidx+1):end));
j = [];
for i = 1:length(M_.aux_vars)
if M_.aux_vars(i).type ~= 1
if M_.aux_vars(i).type ~= 1 && M_.aux_vars(i).type ~= 3
continue
end
orig_var = deblank(M_.endo_names(M_.aux_vars(i).orig_index, :));
if M_.aux_vars(i).type == 1
% Endogenous
orig_var = deblank(M_.endo_names(M_.aux_vars(i).orig_index, :));
else
% Exogenous
orig_var = deblank(M_.exo_names(M_.aux_vars(i).orig_index, :));
end
if strcmp(orig_var, ov) && M_.aux_vars(i).orig_lead_lag == lead_lag
j = M_.aux_vars(i).endo_index;
end
end
if isempty(j)
% There is no aux var corresponding to (orig_var, lead_lag).
% If this is an exogenous variable, then it means we should put
% the value in oo_.exo_simul (we are probably in deterministic
% context).
k = strmatch(ov, M_.exo_names);
if isempty(k)
warning(['smoother2histval: output variable ' ov '(' lead_lag ') does not exist.'])
else
oo_.exo_simul((M_.maximum_lag-M_.maximum_endo_lag+1):M_.maximum_lag, k) = getfield(S, ov_);
end
continue
end
end
M_.endo_histval(j, :) = getfield(S, ov_);
end

55
matlab/smoother2histval.m
View File

@ -1,11 +1,11 @@
function smoother2histval(opts)
% This function takes values from oo_.SmoothedVariables and copies them into
% M_.histval.
% This function takes values from oo_.SmoothedVariables (and possibly
% oo_.SmoothedShocks) and copies them into M_.histval.
%
% Optional fields in 'opts' structure:
% infile: An optional *_results MAT file created by Dynare.
% If present, oo_.SmoothedVariables is read from there.
% Otherwise, it is read from the global workspace.
% If present, oo_.Smoothed{Variables,Shocks} are read from
% there. Otherwise, they are read from the global workspace.
% invars: An optional char or cell array listing variables to read in
% oo_.SmoothedVariables. If absent, all the endogenous
% variables present in oo_.SmoothedVariables are used.
@ -47,17 +47,19 @@ if ~isfield(opts, 'infile')
if ~isfield(oo_, 'SmoothedVariables')
error('Could not find smoothed variables; did you set the "smoother" option?')
end
smoothedvals = oo_.SmoothedVariables;
smoothedvars = oo_.SmoothedVariables;
smoothedshocks = oo_.SmoothedShocks;
else
S = load(opts.infile);
if ~isfield(S, 'oo_') || ~isfield(S.oo_, 'SmoothedVariables')
error('Could not find smoothed variables in file; is this a Dynare results file, and did you set the "smoother" option when producing it?')
end
smoothedvals = S.oo_.SmoothedVariables;
smoothedvars = S.oo_.SmoothedVariables;
smoothedshocks = S.oo_.SmoothedShocks;
end
% Hack to determine if oo_.SmoothedVariables was computed after a Metropolis
if isstruct(getfield(smoothedvals, fieldnames(smoothedvals){1}))
if isstruct(getfield(smoothedvars, fieldnames(smoothedvars){1}))
post_metropolis = 1;
else
post_metropolis = 0;
@ -66,7 +68,8 @@ end
% If post-Metropolis, select the parameter set
if isempty(options_.parameter_set)
if post_metropolis
smoothedvals = smoothedvals.Mean;
smoothedvars = smoothedvars.Mean;
smoothedshocks = smoothedshocks.Mean;
end
else
switch options_.parameter_set
@ -82,19 +85,21 @@ else
if ~post_metropolis
error('Option parameter_set=posterior_mean is not consistent with computed smoothed values.')
end
smoothedvals = smoothedvals.Mean;
smoothedvars = smoothedvars.Mean;
smoothedshocks = smoothedshocks.Mean;
case 'posterior_median'
if ~post_metropolis
error('Option parameter_set=posterior_median is not consistent with computed smoothed values.')
end
smoothedvals = smoothedvals.Median;
smoothedvars = smoothedvars.Median;
smoothedshocks = smoothedshocks.Median;
otherwise
error([ 'Option parameter_set=' options_.parameter_set ' unsupported.' ])
end
end
% Determine number of periods
n = size(getfield(smoothedvals, fieldnames(smoothedvals){1}));
n = size(getfield(smoothedvars, fieldnames(smoothedvars){1}));
if n < M_.maximum_endo_lag
error('Not enough observations to create initial conditions')
@ -106,7 +111,7 @@ if isfield(opts, 'invars')
invars = cellstr(invars);
end
else
invars = fieldnames(smoothedvals);
invars = [fieldnames(smoothedvars); fieldnames(smoothedshocks)];
end
if isfield(opts, 'period')
@ -142,9 +147,13 @@ else
o = struct();
end
% Handle all variables to be copied
% Handle all endogenous variables to be copied
for i = 1:length(invars)
s = getfield(smoothedvals, invars{i});
if isempty(strmatch(invars{i}, M_.endo_names))
% Skip exogenous
continue
end
s = getfield(smoothedvars, invars{i});
v = s((period-M_.maximum_endo_lag+1):period);
if ~isfield(opts, 'outfile')
j = strmatch(outvars{i}, M_.endo_names, 'exact');
@ -159,15 +168,25 @@ for i = 1:length(invars)
end
end
% Handle auxiliary variables for lags
% Handle auxiliary variables for lags (both on endogenous and exogenous)
for i = 1:length(M_.aux_vars)
if M_.aux_vars(i).type ~= 1
if M_.aux_vars(i).type ~= 1 && M_.aux_vars(i).type ~= 3
continue
end
orig_var = deblank(M_.endo_names(M_.aux_vars(i).orig_index, :));
if M_.aux_vars(i).type == 1
% Endogenous
orig_var = deblank(M_.endo_names(M_.aux_vars(i).orig_index, :));
else
% Exogenous
orig_var = deblank(M_.exo_names(M_.aux_vars(i).orig_index, :));
end
[m, k] = ismember(orig_var, outvars);
if m
s = getfield(smoothedvals, invars{k});
if ~isempty(strmatch(invars{k}, M_.endo_names))
s = getfield(smoothedvars, invars{k});
else
s = getfield(smoothedshocks, invars{k});
end
l = M_.aux_vars(i).orig_lead_lag;
if period-M_.maximum_endo_lag+1+l < 1
error('The period that you indicated is too small to construct initial conditions')

2
tests/smoother2histval/fs2000_simul.mod
View File

@ -26,7 +26,7 @@ c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
P*c = m;
m-1+d = l;
e = exp(e_a);
y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a(-1)));
gy_obs = dA*y/y(-2);
gp_obs = (P/P(-1))*m(-1)/dA;
end;

4
tests/smoother2histval/fs2000_smooth.mod
View File

@ -26,7 +26,7 @@ c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
P*c = m;
m-1+d = l;
e = exp(e_a);
y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a(-1)));
gy_obs = dA*y/y(-2);
gp_obs = (P/P(-1))*m(-1)/dA;
end;
@ -73,6 +73,6 @@ varobs gp_obs gy_obs;
options_.solve_tolf = 1e-12;
estimation(order=1,datafile=fsdat_simul,nobs=192,loglinear,mh_replic=1500,mh_nblocks=1,mh_jscale=0.8,smoother);
estimation(order=1,datafile=fsdat_simul,nobs=192,mh_replic=1500,mh_nblocks=1,mh_jscale=0.8,smoother,consider_all_endogenous);
smoother2histval(period = 5, outfile = 'fs2000_histval.mat');